Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Mogens Bladt, Bo Friis Nielsen and Oscar Peralta
| Year of publication: |
2019
|
|---|---|
| Authors: | Bladt, Mogens ; Nielsen, Bo Friis ; Peralta, Oscar |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2019.2019, 1, p. 32-61
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| Subject: | (cumulative) Parisian ruin | Baker copula | Brownian motion | dependency | erlangization | fluid flow | Lévy process | order statistics | phase-type distributions | ruin probability | Sparre-Andersen | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Stochastischer Prozess | Stochastic process | Multivariate Verteilung | Multivariate distribution | Risiko | Risk | Risikomodell | Risk model | Finanzmathematik | Mathematical finance | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2018.1483420 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194929